For this week's #PrivateJam, Kenny G gave us his own guilty pleasure hit. Our woodwind spirit animal explained that after taking his son to one of their shows years ago, he's still hair-over-heels for Megadeth's "Holy Wars." The band's #1 hit featured on their 1990 Rust in Peace album is the heart and soul of progressive thrash metal. And no surprise, Kenny's always been a fan of diehard musicianship and loves that something so heavy can be equally as melodic. "Plus," he says, "the ability to head-bang to their music gives me the chance to put this hair to good use."